Davaajargal Luvsannyam

Current Affiliation:

Economic Research and Training Institute

The Bank of Mongolia

Education:

Ph.D. in Economics, The Australian National University (ANU)

MA in Economics, The Australian National University (ANU)

BA in Banking and Finance, University of Finance and Economics, Mongolia   

Journal Publications:

1. A Factor Augmented Vector Autoregressive (FAVAR) approach for Monetary Policy: Replication of the empirical results in Measuring the Effects of Monetary Policy, (with Kh. Batmunkh), 2019, Journal of Applied Econometrics, 34:5, 820-821   (Online Appendix)

2. External shocks and Business Cycle Fluctuations in Mongolia: Evidence from a Large Bayesian VAR, (with G. Doojav), 2019, International Economic Journal, 33:1, 42-64.

3. Dating the business cycle: Evidence from Mongolia, (Kh. Batmunkh and Kh. Buyankhishig), 2019, Central Bank Review, 19:2, 59-66

4. Non-performing loan recovery: The case of Mongolia, (E. Minjuur, D. Lkhagvadorj and E. Bekhbat), 2021, Journal of Applied Finance & Banking, 11:1, 81-97 

5. The Effectiveness of Currency Intervention: Evidence from Mongolia, (with V. Pontines, E. Atarbaatar and U. Munkhtsetseg), 2021, Journal of International Financial Markets, Institutions and Money, 75, 101439

6. The Dynamics of Business Cycle Connectedness and the Decoupling of Asia Pacific, (with V. Pontines, Kh. Batmunkh and Ts. Otgonbat), 2023, International Journal of Finance and Economics, 28:2, 1667-1692

7. Forecasting inflation in Mongolia: A dynamic model averaging approach, (with G. Doojav) 2023, Journal of Time Series Econometrics, 15:1, 27-48

8. Effects of global liquidity and commodity market shocks in a commodity-exporting developing economy, (with G.Doojav and E.Enkh-Amgalan), 2023, Journal of Commodity Markets, 30, 100332

9. Money-Output Revisited: Time-Varying Granger Causality Evidence from Forty-Three Countries, (with V.Pontines and G.Bayarmagnai), 2024, Open Economies Review, (forthcoming) 

Software Components for Eviews:

• • Factor Augmented VAR (FAVAR) add-in, 2015: the estimation of FAVAR models by using a two-step principal component approach (Bernanke et al 2005)

  • Bayesian Factor Augmented VAR (BFAVAR) add-in, 2015: the estimation of FAVAR models by using a one-step Bayesian Gibbs sampling likelihood approach (Bernanke er al 2005)

  • Sign Restricted VAR (SRVAR) add-in, 2016:  the estimation of Sign Restricted Vector Auto Regression models by using a rejection and penalty function method (Uhlig 2005).

  • Time Varying SVAR (TVSVAR) add-in, 2016: the estimation of Time Varying Structural Vector Auto Regression models by using a Gibbs sampling approach (Primiceri 2005)

  • Threshold SVAR (ThSVAR) add-in, 2016 :  the estimation and the generilised impulse response function of Threshold Structural Vector Auto Regression (Balke 2000)

  • Scaled Impulse Response Function (SIRF) add-in, 2016 :  the estimation of scaled impulse response function of Structural Vector Auto Regression models.

  • Conditional Forecast (Confcast) add-in, 2016 : conditional forecast from VAR model

  • Dynamic Model Averaging (DMA) add-in, 2016 :  the estimation of Dynamic Model Averaging of Koop and Korobilis (2012)

  • Large Bayesian VAR (LBVAR) add-in, 2016: estimates a Large Bayesian VAR as described by Banbura, Giannone and Reichlin (2010)

  • Beveridge Nelson filter (BNfilter) add-in, 2017:  performs a modification of the BN decomposition to directly impose a low signal-to-noise ratio

  • Bry-Broschan Quarterly (BBQ) add-in, 2017:  implements the Bry-Boschan (NBER) Business Cycle Dating Algorithm modified by Harding and Pagan (2002) for quarterly data.

  • Unobserved components stochastic volatility model (UCSVM) add-in, 2018: estimates an unobserved component stochastic volatility model of Joshua Chan (2017).

  • Unobserved components stochastic volatility outlier model (UCSVO) add-in, 2018:  Estimates the following unobserved component stochastic volatility outlier model of Stock and Watson (2016)

  • Diebold-Yilmaz Index (DYindex) add-in, 2018:  calculates the Diebold-Yilmaz index of spillover using forecast error variance decomposition method of a VAR model.

  • Lee Strazicich unit root test (LSunit) add-in, 2018:  estimates Minimum Lagrange multiplier unit root test with one or two structural breaks

  • Panel Structural VAR (PSVAR) add-in, 2018 :  estimates a Pedroni Panel Structural VAR (2013).

  • Generalized forecast error variance decomposition (GFEVD) add-in, 2018: estimates a new GFEVD of Lanne and Nyberg (2016).

  • Kilian Bias-adjusted Bootstrap add-in, 2019: calculates the Kilian (1998) bootstrap-after-bootstrap confidence intervals for VAR impulse response

  • ARW add-in, 2019: estimates the Arias, Rubio-Ramirez and Waggoner (2018) algorithm for sign and zero restricted VARs.

  • SWcause add-in, 2019: estimates Stock-Watson (2018) Dynamic Cause Effect for VARs.

  • CFBVAR add-in, 2020: Estimates the Waggoner and Zha (1999) constrained forecast BVAR.

  • Morley-Wong decompoisiton add-in, 2020:  Estimates the trend and cycle of a time series given a large information set.

  • TVGC add-in, 2020: Performs a time-varying Granger Causality test.

  • Sims_Zha add-in, 2021: estimates Sims-Zha style counterfactual analysis on a VAR object.

  • Evstudy add-in, 2021: implements  an event study approach.

  • Sysmbreak add-in, 2022: Qu and Perron (2007) extend the analysis to multiple structural changes that occur at unknown dates in a system of equations.

  • AsymVAR add-in, 2022: estimates Kilian and  Vigfussion (2011) Asymmetric VAR.  

  • VARsvol add-in, 2022: implements Mumtaz (2018)  generalized stochastic volatility in mean VAR . 

  • Uhlig add-in, 2022: estimates a VAR with stochastic volatility using the Uhlig method

  • KilianLewis add-in, 2023: implements Kilian-Lewis style counterfactual analysis on a VAR object 

  • HamiltonHerrera add-in 2024: implements Hamilton-Herrera counterfactual simulations and test on a VAR object

  • RBNfilter add-in 2024; performs the refined Beverage-Nelson filter of Kamber, Morley and Wong (2024)

Guest Blog:

• Panel Structural VARs and the PSVAR add-in

• Dissecting business cycle and the BBQ add-in

• Sign Restricted VAR add-in

• Sign and Zero Restricted VAR Add-In

• Beveridge-Nelson Filter

• Large Bayesian VAR (From Bańbura et al. (2010) to Cascaldi-Garcia’s (2022) Pandemic Priors)

Refereeing Activity:

• • North American Journal of Economics and Finance

  • Comparative Economic Studies

Book Chapters:

• • Innovative Management and Business Practices in Asia: Development and Access to Finance of Small and Medium-Sized Enterprises in Mongolia, 2019, IGI Global, ch14, 265-294

Member:

• Doctoral thesis examination committee  (approved by Minister of Education and Science)